Estimating hedge fund risk factor exposures

@article{Johnston2012EstimatingHF,
  title={Estimating hedge fund risk factor exposures},
  author={Douglas E. Johnston and Petar M. Djuric},
  journal={2012 IEEE 13th International Workshop on Signal Processing Advances in Wireless Communications (SPAWC)},
  year={2012},
  pages={510-514}
}
In this paper, we propose a novel approach for decomposing financial market returns into observable risk factors and idiosyncratic risk. We utilize a vector stochastic-volatility model to extract the potentially time-varying exposure of low frequency hedge fund performance on high frequency data. By making use of a particle filter with Rao-Blackwellization… CONTINUE READING